fxNonDeliverableForwardPricer

fxNonDeliverableForwardPricer(instrument, pricingDate, spot, domesticCurve, foreignCurve)

基于给定的即期汇率、本币与外币的贴现曲线，以及定价日期，计算外汇无本金交割远期合约的净现值（NPV）。

instrument INSTRUMENT 类型对象，指定需要定价的外汇无本金交割远期。字段要求参考产品字段说明。

pricingDate DATE 类型标量，指定定价日期。

spot DOUBLE 类型标量，指定即期汇率。

domesticCurve MKTDATA 类型对象（IrYieldCurve），指定本币贴现曲线。

foreignCurve MKTDATA 类型对象（IrYieldCurve），指定外币贴现曲线。

DOUBLE 类型标量。

本示例构造了以 USD 为名义货币的无本金交割远期合约，并分别定义人民币（CNY）和美元（USD）无风险收益率曲线作为贴现曲线。 定价函数根据即期汇率、定价日期以及两条贴现曲线计算合约净现值（NPV）。 随后，示例通过贴现因子手工计算 NPV，以验证定价结果的正确性。

pricingDate = 2025.08.18
strike = 4
yearConv = "Actual365"
delivery = 2025.12.18
notionalAmount = 1E6

fxNonDeliverableForward = {
  "productType": "Forward",
  "forwardType": "FxNonDeliverableForward",
  "expiry": 2025.12.16,
  "delivery": delivery,
  "currencyPair": "USDCNY",
  "direction": "Buy",
  "notionalAmount": notionalAmount,
  "notionalCurrency": "USD",
  // "settlementCurrency": "CNY",
  "settlementCurrency": "USD",
  "strike": strike
}

curveDates = [2025.08.21,
              2025.08.27,
              2025.09.03,
              2025.09.10,
              2025.09.22,
              2025.10.20,
              2025.11.20,
              2026.02.24,
              2026.05.20,
              2026.08.20,
              2027.02.22,
              2027.08.20,
              2028.08.21]
domesticCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "dayCountConvention": yearConv,
    "compounding": "Continuous", 
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "values":[1.5113, 
              1.5402, 
              1.5660, 
              1.5574, 
              1.5556, 
              1.5655, 
              1.5703, 
              1.5934, 
              1.6040, 
              1.6020, 
              1.5928, 
              1.5842, 
              1.6068]/100
}
foreignCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "USD",
    "dayCountConvention": yearConv,
    "compounding": "Continuous", 
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "values":[4.3345, 
              4.3801, 
              4.3119, 
              4.3065, 
              4.2922, 
              4.2196, 
              4.1599, 
              4.0443, 
              4.0244, 
              3.9698, 
              3.7740, 
              3.6289, 
              3.5003]/100
}

instrument = parseInstrument(fxNonDeliverableForward)

domesticCurve = parseMktData(domesticCurveInfo)
foreignCurve = parseMktData(foreignCurveInfo)
spot = 7.1

npv = fxNonDeliverableForwardPricer(instrument, pricingDate, spot, domesticCurve, foreignCurve)
print(npv)

domes_discount = 1.0 / exp(curvePredict(domesticCurve, delivery) * yearFrac(yearConv, pricingDate, delivery))
foreign_discount = 1.0 / exp(curvePredict(foreignCurve, delivery) * yearFrac(yearConv, pricingDate, delivery))

/*外币结算，即 settlementCurrency 是 USD
(-1.0/spot * domes_discount + 1.0/strike * foreign_discount) * notionalAmount * spot*/

/*本币结算，即 settlementCurrency 是 CNY
(spot * foreign_discount - strike * domes_discount) * notionalAmount*/

相关函数：parseInstrument、parseMktData